Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0153
Annualized Std Dev 0.2667
Annualized Sharpe (Rf=0%) 0.0573

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1269
Quartile 1 -0.0076
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0085
Maximum 0.1979
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0168
Skewness -0.0196
Kurtosis 9.4276

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0118
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.7179
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0402
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0334
From Trough To Depth Length To Trough Recovery
2000-02-24 2003-03-12 2007-04-03 -0.7179 1786 764 1022
2007-12-11 2009-03-09 NA -0.6512 3342 312 NA
1999-01-07 1999-03-24 1999-12-23 -0.2315 244 53 191
2007-07-13 2007-08-15 2007-10-01 -0.1268 56 24 32
2000-01-18 2000-01-31 2000-02-04 -0.0903 14 10 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.6 -2.4 1.9 -0.6 -0.9 0 0.9 2.1 -0.9 -0.6 2.5 1.4 2.8
2000 1.2 0.9 -0.5 1.3 1 1.8 -2.1 2.4 -1 0.6 2.4 1.6 10.2
2001 -1.2 0.3 1.1 0.8 -0.5 2.4 0.9 -1 0.3 2.6 1.5 2 9.6
2002 -0.1 0.7 0.4 0.3 -0.3 -1.7 -3.9 1.7 4.8 1.6 1.2 -1.1 3.6
2003 2 1.8 1.3 -0.5 1.5 -0.4 -1.6 0.4 3.8 -0.6 2 0.7 10.8
2004 -0.4 1.4 1.6 -0.5 -1 -0.9 -0.2 0.7 2 0.7 2.4 -0.3 5.6
2005 1.4 0.2 -0.6 1.3 0.2 -0.5 1.5 0.5 -0.7 -0.2 1.4 -0.8 3.7
2006 0.7 1.4 -0.2 -0.2 0.8 1.5 -1 0.4 -0.2 -0.1 -0.4 0 2.5
2007 0.8 -1.7 0.1 0.6 0.8 0.8 0.5 2.1 1.4 -3 0.2 -1 1.4
2008 0.8 -2.7 2.5 1.4 0.6 -0.6 -1.5 -0.5 -1.4 2 -8.1 1.3 -6.5
2009 -2 -1.5 1.5 0.8 3.2 2.1 1.7 -3.5 -3.5 -4.8 2.1 -0.5 -4.7
2010 1.8 1.3 1.6 -0.4 -0.8 1.7 0.2 4 1 -0.5 3.9 0.7 15.3
2011 2.1 -1.7 1.7 0.5 -2.8 0.9 -2.9 -2.5 -5.2 -5.3 -0.9 0.5 -14.9
2012 2.4 1.2 1.2 0.5 -3.4 5.7 -0.6 1.3 0.7 0.8 0.6 1.8 12.6
2013 1.5 -0.7 -0.5 -0.9 -1.4 0.6 1.4 -0.9 1.2 -0.5 0.6 0.3 0.6
2014 -1.8 0.9 0.7 0.1 0.2 0.5 -1.6 -0.3 -1.2 1.5 0.1 -0.9 -2
2015 -1.7 0.4 0.9 1.3 -0.3 0.9 1 -2.4 -0.8 0.2 0.1 -1.6 -2.3
2016 -0.1 3.8 -0.8 -0.6 0.1 0.3 -0.4 0.3 2.3 -0.8 -0.6 0.5 4
2017 0.3 1.4 0.4 0.6 0.4 -0.4 0.9 0.3 1.3 0.8 -0.9 -0.4 5.1
2018 -0.9 -1.9 1.5 -0.4 0.5 1.5 -0.8 -1.4 0.5 1.3 -0.9 0.5 -0.5
2019 0.1 1.1 1.4 -0.7 -1.3 0.2 -0.1 0.2 -1 0.8 -0.5 0.7 1
2020 -1.7 -1 -5.1 -2.2 2.8 -0.1 -2 0.1 0.7 -0.8 2 -1.2 -8.5
2021 1 1.4 -0.5 NA NA NA NA NA NA NA NA NA 1.9

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart